def testEuropeanThetaFixedRandomNumbers(self, mock_np_random):
# This test, uses patch to fix the random numbers generated for
# the monte carlo, hence ensureing a fixed theta and then ensures
# the result received is consistent. The theta isn't very
# accurate because we only use 200 points in the list but the result
# should be stable (unlike testEuropeanThetavsExternal)
# Convert the spot into an array
npStock = np.asarray(ED.EO_spot, dtype=np.float32)
# Get the price
(npC, stdDevC) = self.__objEuropeanMonteCallFN.getOptionTheta(npStock)
(npP, stdDevP) = self.__objEuropeanMontePutFN.getOptionTheta(npStock)
lstCall = list(npC)
lstPut = list(npP)
lstCall = [
abs(lstCall[i] - ED.FN_CALL_THETA[i])
for i in range(0, len(lstCall))
]
lstPut = [
abs(lstPut[i] - ED.FN_PUT_THETA[i]) for i in range(0, len(lstPut))
]
for Z in lstCall:
self.assertLess(Z, ED.FN_ACCURACY)
for Z in lstPut:
self.assertLess(Z, ED.FN_ACCURACY)
def testEuropeanRhovsExternal(self):
# These values have been generated externally via the following
# website:
# https://www.math.drexel.edu/~pg/fin/VanillaCalculator.html
# Convert the spot into an array
npStock = np.asarray(ED.EO_spot, dtype=np.float32)
# Get the price
(npC, stdDevC) = self.__objEuropeanMonteCall.getOptionRho(npStock)
(npP, stdDevP) = self.__objEuropeanMontePut.getOptionRho(npStock)
# This is a very approximate comparison, because we are using a
# monte carlo method
for i in range(0, len(ED.EO_spot)):
# Call - I change my rho by 0.01, (1%) so adjust here
diffCall = abs(npC[i] - 0.01 * ED.EO_callRho[i])
self.assertLess(diffCall, 0.1 * stdDevC[i])
# Put - I change my rho by 0.01, (1%) so adjust here
diffPut = abs(npP[i] - 0.01 * ED.EO_putRho[i])
self.assertLess(diffPut, 0.1 * stdDevP[i])
def testEuropeanThetavsExternal(self):
# These values have been generated externally via the following
# website:
# https://www.math.drexel.edu/~pg/fin/VanillaCalculator.html
# Convert the spot into an array
npStock = np.asarray(ED.EO_spot, dtype=np.float32)
# Get the price
(npC, stdDevC) = self.__objEuropeanMonteCall.getOptionTheta(npStock)
(npP, stdDevP) = self.__objEuropeanMontePut.getOptionTheta(npStock)
# This is a very approximate comparison, because we are using a
# monte carlo method
for i in range(0, len(ED.EO_spot)):
# Call - I express theta in 365 day terms and as a largely
# negative value so change here
diffCall = abs(npC[i] + ED.EO_callTheta[i] / 365)
self.assertLess(diffCall, 0.1 * stdDevC[i])
# Put - I express theta in 365 day terms and as a largely
# negative value so change here
diffPut = abs(npP[i] + ED.EO_putTheta[i] / 365)
self.assertLess(diffPut, 0.1 * stdDevP[i])